Im wanting to run some off road lights behind my 01 SCrew grille. Is there any side effect to connecting the lights directly to the battery and hooking up a rocker switch inside the cab?

 

If you are talking about using the rocker switch to power the lights ( inline with the lead from the battery ), you are going to have a) an expensive switch, it will need to be able to run the entire load and b) lights that do not burn at full brightness ( the switch will act as a resistor over time ).
The side item is you cold leave them on, and kill the battery.

If you are talking about with a relay, nothing, if the power to the switch ( for the coil on the relay ) is connected to something that will not allow them to be left on ( i.e. hot in run position circuit, parking lamps, etc ).